If I knew how to handle Ehlers filter I would write profitable strategies. laugh But wasn't Ehlers the guy with the cycles? You can use him also to find out the best MA?

I don't know if another MA is needed - the result is improved if you use an individual period length per asset. Here I choose optimize(200,10,300,10) for a SMA (and used EntryTime=5) from 2009 to 2015:

Code:
Asset	SMA	PF	W/L
EUR/CHF	220	2,13	47/74
EUR/AUD	90	1,51	84/141
EUR/JPY	110	1,48	86/151
AUD/JPY	80	1,46	87/120
USD/JPY	280	1,46	86/106
EUR/USD	30	1,45	80/137
AUD/CHF	30	1,34	82/121
USD/CHF	50	1,3	84/114
CHF/JPY	80	1,29	81/135
XAGUSD	30	1,29	55/80
GBP/JPY	120	1,21	79/164
EUR/NZD	240	1,18	60/188
XAUUSD	281	1,17	6/240
NZD/JPY	30	1,14	79/118
USD/CAD	230	1,12	73/115
GER30	160	1,11	47/180
NAS100	240	1,11	52/58
AUD/USD	280	1,09	77/127
EUR/CAD	40	1,09	72/158
CAD/CHF	190	1,07	75/121
CAD/JPY	100	1,06	71/131
US30	270	1,06	56/181
GBP/CHF	250	1,05	73/156
NZD/CHF	280	1,05	71/105
AUD/CAD	280	1,03	77/112
SPX500	260	1,01	51/211
AUD/NZD	80	0,97	81/128
GBP/NZD	130	0,97	46/214
EUR/GBP	40	0,94	65/84
GBP/AUD	50	0,93	64/188
GBP/USD	100	0,88	68/169
NZD/USD	170	0,88	80/138
USOil 	110	0,8	35/191
NZD/CAD	100	0,79	77/120
GBP/CAD	29	0,76	48/185
UK100	230	0,47	38/135

The EUR/CHF result might be slightly biased by the cap and the relation of W/L @XAUUSD looks strange: only 6 wins out of 246 trades and it was profitable at all! The reason for this was that the Stop in PIPs seems not to work with XAUUSD, if the trade wasn't profitable from the very beginning it has been stopped out immediately.